I've never had one built in to a headset, with the exception of the Audeze Mobius, that was worth a crap.
In terms of software my current favourite is Redscape. It is pretty convincing with just the software itself, more than most others, but I find that software just can't do a great job without headtracking. It just sounds wrong when the surround image follows your head around. Redscape also has a headtracker, and it works well.
It isn't perfect, it still doesn't sound quite as "real" as my Genelec speakers... but it is damn close. Close enough that I have had moments where I checked to see if I had properly switched from speakers to headphones.
I compared Redscape with other solutions and it was very similar to Creative SBX on default settings and comparable to SXFI with bigger room simulation in Redscape, so basically "very nice". However I had two major issues with Redscape:
1. CPU usage was up to 20% almost constantly, with or without an EQ. That's really too much stress for a laptop.
2. I couldn't get WASAPI mode working, the only mode which worked was ASIO and not all sound cards support this mode.
Also there is no demo/trial version, app developer was nice enough to provide me with personal time limited license though.
Btw. I tried head tracking with WavesNX and while it worked and was fun to try, I find it too distracting and don't miss it at all.
@Galz - I would recommend looking at Creative GC7 - it has SBX, SXFI, Dolby Digital decoding (should you decided to connect it to your TV for example) and many more. X3/X4 are nice too, but you are limited to usage with PC only. G6 is better on a paper, but it misses bluetooth interface and SXFI. I have GC7 for my TV/PS4 console and X3 connected to the PC, if I was to choose only one, it would be GC7 for sure.